Fausto Gozzi
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
2020/09/08 by Boualem Djehiche, Djehiche, Boualem, Fausto Gozzi +5 · 3 citations
Economics, Econometrics and Finance · Social Sciences · #Economic theories and models #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Stochastic processes and financial applications
- Stochastic optimal control of delay equations arising in advertising models
2004/12/20 by Fausto Gozzi, Gozzi, Fausto, Carlo Marinelli +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Biology Tumor Growth #Optimization and Control (math.OC) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.OC
- An optimal advertising model with carryover effect and mean field terms
2024/02/01 by Fausto Gozzi, Federica Masiero, Gozzi, Fausto +3 · 2 citations
Business, Management and Accounting · Decision Sciences · Social Sciences · #Consumer Market Behavior and Pricing #Digital Marketing and Social Media #FOS: Mathematics #Innovation Diffusion and Forecasting #Optimization and Control (math.OC) #Probability (math.PR)
- Stochastic Control Problems with Unbounded Control Operators: solutions through generalized derivatives
2021/07/09 by Federica Masiero, Masiero, Federica, Fausto Gozzi +1 · 1 citation
Computer Science · Economics, Econometrics and Finance · Engineering · #FOS: Mathematics #Optimization and Control (math.OC) #Optimization and Variational Analysis #Stability and Controllability of Differential Equations #Stochastic processes and financial applications
- Lifting partial smoothing to solve HJB equations and stochastic control problems
2023/06/09 by Fausto Gozzi, Federica Masiero, Gozzi, Fausto +1 · 1 citation
Economics, Econometrics and Finance · #35R15 #47D07 #49L20 #93C23 #93E20 #FOS: Mathematics #Optimization and Control (math.OC) #Stochastic processes and financial applications